crowetic/protocol
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

fix: added prometheus changes on expiration (#308)

Browse Source 
* added prometheus changes on expiration

* added unit tests

* prettier

* addressed comments

* remove unused tests

* fix lint:

* Update quote_requestor_test.ts
This commit is contained in:
Daniel Pyrathon 2021-08-23 13:59:49 -07:00 committed by GitHub
parent ed3524e0d7
commit da433854ac
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 15 additions and 9 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

24
packages/asset-swapper/src/utils/quote_requestor.ts
View File

@ -25,6 +25,7 @@ import {
} from '../types'; } from '../types';
import { returnQuoteFromAltMMAsync } from './alt_mm_implementation_utils'; import { returnQuoteFromAltMMAsync } from './alt_mm_implementation_utils';
import { ONE_SECOND_MS } from './market_operation_utils/constants';
import { RfqMakerBlacklist } from './rfq_maker_blacklist'; import { RfqMakerBlacklist } from './rfq_maker_blacklist';
const MAKER_TIMEOUT_STREAK_LENGTH = 10; const MAKER_TIMEOUT_STREAK_LENGTH = 10;
@ -177,6 +178,12 @@ export class QuoteRequestor {
} }
} }
public static getDurationUntilExpirationMs(expirationTimeSeconds: BigNumber): BigNumber {
const expirationTimeMs = expirationTimeSeconds.times(constants.ONE_SECOND_MS);
const currentTimeMs = new BigNumber(Date.now());
return BigNumber.max(expirationTimeMs.minus(currentTimeMs), 0);
}
private static _makerSupportsPair( private static _makerSupportsPair(
typedMakerUrl: TypedMakerUrl, typedMakerUrl: TypedMakerUrl,
makerToken: string, makerToken: string,
@ -361,12 +368,6 @@ export class QuoteRequestor {
return true; return true;
} }
private _isExpirationTooSoon(expirationTimeSeconds: BigNumber): boolean {
const expirationTimeMs = expirationTimeSeconds.times(constants.ONE_SECOND_MS);
const currentTimeMs = new BigNumber(Date.now());
return expirationTimeMs.isLessThan(currentTimeMs.plus(this._expiryBufferMs));
}
private async _getQuotesAsync<ResponseT>( private async _getQuotesAsync<ResponseT>(
makerToken: string, makerToken: string,
takerToken: string, takerToken: string,
@ -587,12 +588,15 @@ export class QuoteRequestor {
return false; return false;
} }
const isLastLook = Boolean(options.isLastLook); const isLastLook = Boolean(options.isLastLook);
if (this._isExpirationTooSoon(new BigNumber(order.expiry))) { const msRemainingUntilExpiration = QuoteRequestor.getDurationUntilExpirationMs(new BigNumber(order.expiry));
const isExpirationTooSoon = msRemainingUntilExpiration.lt(this._expiryBufferMs);
if (isExpirationTooSoon) {
this._warningLogger(order, 'Expiry too soon in RFQ-T firm quote, filtering out'); this._warningLogger(order, 'Expiry too soon in RFQ-T firm quote, filtering out');
this._metrics?.incrementExpirationToSoonCounter(isLastLook, order.maker); this._metrics?.incrementExpirationToSoonCounter(isLastLook, order.maker);
return false; return false;
} else { } else {
this._metrics?.measureExpirationForValidOrder(isLastLook, order.maker, order.expiry); const secondsRemaining = msRemainingUntilExpiration.div(ONE_SECOND_MS);
this._metrics?.measureExpirationForValidOrder(isLastLook, order.maker, secondsRemaining);
const takerAmount = new BigNumber(order.takerAmount); const takerAmount = new BigNumber(order.takerAmount);
const fillRatio = takerAmount.div(assetFillAmount); const fillRatio = takerAmount.div(assetFillAmount);
@ -673,7 +677,9 @@ export class QuoteRequestor {
this._warningLogger(order, 'Unexpected token or taker address in RFQ order, filtering out'); this._warningLogger(order, 'Unexpected token or taker address in RFQ order, filtering out');
return false; return false;
} }
if (this._isExpirationTooSoon(new BigNumber(order.expiry))) { const msRemainingUntilExpiration = QuoteRequestor.getDurationUntilExpirationMs(new BigNumber(order.expiry));
const isExpirationTooSoon = msRemainingUntilExpiration.lt(this._expiryBufferMs);
if (isExpirationTooSoon) {
this._warningLogger(order, 'Expiry too soon in RFQ indicative quote, filtering out'); this._warningLogger(order, 'Expiry too soon in RFQ indicative quote, filtering out');
return false; return false;
} else { } else {